Article
BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients
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Abstract
This paper deals with a class of backward stochastic differential equation driven by two mutually independent fractional Brownian motions. We essentially establish existence and uniqueness of a solution in the case of stochastic Lipschitz coefficients. The stochastic integral used throughout the paper is the divergence-type integral.
Keywords
backward stochastic differential equation, stochastic Lipschitz coefficients, Malliavin derivative and fractional Itô’s formula, 60H05, 60H07, 60G22
Citation
Aidara, S. & Sagna, Y. (2019). Bsdes driven by two mutually independent fractional brownian motions with stochastic lipschitz coefficients. Applied Mathematics and Nonlinear Sciences, 4(1), 139–150. https://doi.org/10.2478/AMNS.2019.1.00014
S. Aidara and Y. Sagna, “Bsdes driven by two mutually independent fractional brownian motions with stochastic lipschitz coefficients,” Applied Mathematics and Nonlinear Sciences, vol. 4, no. 1, pp. 139–150, 2019, doi: 10.2478/AMNS.2019.1.00014.
Aidara S, Sagna Y. Bsdes driven by two mutually independent fractional brownian motions with stochastic lipschitz coefficients. Applied Mathematics and Nonlinear Sciences. 2019;4(1):139–150. doi:10.2478/AMNS.2019.1.00014.
Aidara, S. and Sagna, Y. (2019), ‘Bsdes driven by two mutually independent fractional brownian motions with stochastic lipschitz coefficients’, Applied Mathematics and Nonlinear Sciences, 4(1), pp. 139–150. Available at: https://doi.org/10.2478/AMNS.2019.1.00014.
Aidara, Sadibou, and Yaya Sagna. “Bsdes Driven by Two Mutually Independent Fractional Brownian Motions with Stochastic Lipschitz Coefficients.” Applied Mathematics and Nonlinear Sciences, vol. 4, no. 1, 2019, pp. 139–150. https://doi.org/10.2478/AMNS.2019.1.00014.
Aidara, Sadibou, and Yaya Sagna. “Bsdes Driven by Two Mutually Independent Fractional Brownian Motions with Stochastic Lipschitz Coefficients.” Applied Mathematics and Nonlinear Sciences 4, no. 1 (2019): 139–150. https://doi.org/10.2478/AMNS.2019.1.00014.
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Published by: Engineering Journals
